The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges

Thomas Conlon, Shaen Corbet and Richard J. McGee

International Review of Financial Analysis, 2024, vol. 91, issue C

Abstract: We examine the volume-volatility relationship across Bitcoin futures and spot markets, using daily realised volatility measures estimated from high frequency intraday data. We estimate realised spot volatility across five major exchanges using both the standard volume weighted price and using a new approach, inspired by the CME Bitcoin Reference Rate methodology. We find that unexpected trading volume is the most important explanatory variable for BRR spot volatility, explaining 20% of variation in price volatility at exchange level. Conversely, we find that both expected and unexpected CME Bitcoin futures volumes play a very limited or even calming role in systemic volatility. Our findings suggest that CME Bitcoin futures are not independently contributing to systemic risk in Bitcoin over the period studied.

Keywords: Financial services; Bitcoin futures; Realised volatility; Trading volume; CME BRR; Governance and risk (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S105752192300529X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:91:y:2024:i:c:s105752192300529x

DOI: 10.1016/j.irfa.2023.103013

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().